ISDA has today launched a new consultation on how to implement fallbacks for certain swap rates published by ICE Benchmark Administration (IBA).
Following the UK Financial Conduct Authority’s (FCA) March 5 announcement on LIBOR’s future cessation and/or loss of representativeness, IBA is consulting on its intention to cease publication of the sterling LIBOR ICE Swap Rate for all tenors (from one to 30 years) immediately after publication on December 31, 2021. While IBA has not yet consulted on any intention to cease publication of the US dollar LIBOR ICE Swap Rate immediately after publication on June 30, 2023 (or on any other date), the FCA’s announcement is expected to have implications for this swap rate as well.
In order to address the potential cessation of these ICE swap rates, ISDA’s new consultation seeks input on the implementation of:
Fallbacks for the sterling LIBOR ICE Swap Rate suggested in a paper published by the Non-Linear Task Force of the Working Group on Sterling Risk-Free Reference Rates in the UK; and
Fallbacks for the US dollar LIBOR ICE Swap Rate proposed in a paper published by a Subcommittee of the Alternative Reference Rates Committee in the US.
The new consultation is open until July 2, 2021. The deadline will not be extended.
ISDA aims to publish the results of this consultation in July.